Yang, JianTong, MengYu, Ziliang2022-12-152022-12-152021-10-13Yang, J., Tong, M., & Yu, Z. (2021). Housing market spillovers through the lens of transaction volume: A new spillover index approach. Journal of Empirical Finance, 64, 351-378. 10.1016/j.jempfin.2021.10.0030927-539810.1016/j.jempfin.2021.10.003http://hdl.handle.net/10034/627382This paper examines intercity housing market spillovers (HMS) in China using a novel dataset of daily transaction prices and volume from 32 Chinese cities. Based on intercity price-price, price-volume, and volume-volume dynamics, we propose a new spillover index to summarize price and volume information comprehensively in measuring cross-market spillovers. We find that: (1) the volume-volume dynamics plays a more significant role than price-price or price-volume relationships in intercity HMS; (2) fundamentals related to population and GDPs are among significant determinants of the index. Overall, these findings provide new evidence for a significant informational role of volume beyond prices in HMS.CC0 1.0 Universalhttps://creativecommons.org/licenses/by-nc-nd/4.0/Housing marketSpillover indexDaily dataVolumeChinaArticle1879-1727Journal of Empirical Finance